Author Page for Suresh M. Sundaresan

A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

EFA 2003 Annual Conference Paper No. 852

Number of pages: 22 Posted: 23 Jul 2003

Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan

Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics

Downloads 971 (25,082)

Citation 7

Abstract:

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52

Number of pages: 402 Posted: 24 Jul 2010

Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Nordea Group, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Federal Reserve Board - Division of Monetary Affairs, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas

Downloads 964 (25,326)

Citation 1

Abstract:

3.

Pricing Collateralized Swaps

Number of pages: 49 Posted: 11 Jun 2003

Michael S. Johannes and Suresh M. Sundaresan

Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 861 (29,789)

Citation 6

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4.

Dynamic Investment, Capital Structure, and Debt Overhang

Number of pages: 51 Posted: 21 Dec 2006

Suresh M. Sundaresan and Neng Wang

Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 745 (36,360)

Citation 50

Abstract:

5.

A Simple Unified Model for Pricing Derivative Securities With Equity, Interest-Rate, and Default Risk

AFA 2004 San Diego Meetings

Number of pages: 28 Posted: 04 Dec 2003

Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan

Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics

Downloads 732 (37,234)

Citation 6

Abstract:

6.

Liability Driven Investment with Downside Risk

Downloads 709 ( 38,903)

Citation 5

2

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012

Andrew Ang, Bingxu Chen and Suresh M. Sundaresan

BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 399 (79,692)

Citation 4

Abstract:

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051

Number of pages: 29 Posted: 17 Jan 2013

Andrew Ang, Bingxu Chen and Suresh M. Sundaresan

BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 310 (106,312)

Citation 3

Abstract:

7.

Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 41 Posted: 28 Jul 2009

Qiang Dai and Suresh M. Sundaresan

affiliation not provided to SSRN and Columbia Business School - Finance and Economics

Downloads 614 (47,109)

Citation 11

Abstract:

8.

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Downloads 599 ( 48,690)

Citation 15

2

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Journal of Finance, Forthcoming

Number of pages: 61 Posted: 28 Jul 2016 Last Revised: 21 Feb 2018

Sven Klingler and Suresh M. Sundaresan

BI Norwegian Business School and Columbia Business School - Finance and Economics

Downloads 536 (55,434)

Citation 9

Abstract:

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

BIS Working Paper No. 705

Number of pages: 64 Posted: 19 Feb 2018

Sven Klingler and Suresh M. Sundaresan

BI Norwegian Business School and Columbia Business School - Finance and Economics

Downloads 63 (383,893)

Citation 7

Abstract:

9.

Repo Rollover Risk and the Bankruptcy Code

Columbia Business School Research Paper No. 13-8

Number of pages: 61 Posted: 14 Feb 2013 Last Revised: 17 Jun 2015

Jun Kyung Auh and Suresh M. Sundaresan

Georgetown University - Department of Finance and Columbia Business School - Finance and Economics

Downloads 407 (78,593)

Citation 7

Abstract:

10.

Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default

Number of pages: 39 Posted: 12 Jul 2000

Ganlin Chang and Suresh M. Sundaresan

Columbia Business School and Columbia Business School - Finance and Economics

Downloads 375 (86,394)

Citation 16

Abstract:

11.

On the Design of Contingent Capital with a Market Trigger

Journal of Finance, Forthcoming

Number of pages: 57 Posted: 08 Mar 2012 Last Revised: 14 May 2014

Suresh M. Sundaresan and Zhenyu Wang

Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

Downloads 324 (101,952)

Citation 35

Abstract:

12.

Dollar Shortage, Central Bank Actions, and the Cross Currency Basis

Number of pages: 47 Posted: 28 Oct 2012 Last Revised: 30 Oct 2012

Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa and Suresh M. Sundaresan

Paris School of Economics (PSE), Wisconsin School of Business, affiliation not provided to SSRN and Columbia Business School - Finance and Economics

Downloads 312 (106,150)

Citation 11

Abstract:

13.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005

Mark Broadie, Mikhail Chernov and Suresh M. Sundaresan

Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics

Downloads 275 (121,572)

Citation 10

Abstract:

14.

Unintended Consequences of Post-Crisis Liquidity Regulation

Number of pages: 57 Posted: 18 Jun 2019 Last Revised: 12 Aug 2020

Suresh M. Sundaresan and Kairong Xiao

Columbia Business School - Finance and Economics and Columbia University - Columbia Business School

Downloads 232 (144,500)

Citation 4

Abstract:

15.

Growth Options and Optimal Default Under Liquidity Constraints: The Role of Corporate Cash Balances

Columbia Business School Research Paper

Number of pages: 42 Posted: 24 Aug 2011

Attakrit Asvanunt, Mark Broadie and Suresh M. Sundaresan

AQR Capital Management, LLC, Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School - Finance and Economics

Downloads 149 (214,791)

Citation 7

Abstract:

16.

Risk Management of Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 38 Posted: 17 Mar 2010

Suresh M. Sundaresan

Columbia Business School - Finance and Economics

Downloads 146 (218,368)

Citation 4

Abstract:

17.

Y2k Options and the Liquidity Premium in Treasury Bond Markets

FRB of New York Staff Report No. 266

Number of pages: 40 Posted: 01 Nov 2006

Zhenyu Wang and Suresh M. Sundaresan

Indiana University, Kelley School of Business and Columbia Business School - Finance and Economics

Downloads 106 (277,747)

Citation 1

Abstract:

18.

Public Provision of Private Liquidity: Evidence from the Millennium Date Change

AFA 2006 Boston Meetings Paper

Number of pages: 50 Posted: 21 Nov 2005

Suresh M. Sundaresan and Zhenyu Wang

Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance

Downloads 101 (287,085)

Citation 4

Abstract:

19.

The Effects of Tax on Bank Liability Structure

Downloads 86 (318,144)

2

The Effects of Tax on Bank Liability Structure

BIS Working Paper No. 611

Number of pages: 51 Posted: 28 Feb 2017

Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang

Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

Downloads 86 (320,864)

Abstract:

The Effects of Tax on Bank Liability Structure

CEPR Discussion Paper No. DP11893

Number of pages: 50 Posted: 16 Mar 2017

Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang

Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

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Abstract:

20.

FX Hedging and Creditor Rights

BIS Paper No. 96b

Number of pages: 18 Posted: 06 Apr 2018

Madhusudan S. Mohanty and Suresh M. Sundaresan

Bank for International Settlements (BIS) - Monetary and Economic Department and Columbia Business School - Finance and Economics

Downloads 57 (397,965)

Abstract:

21.

Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand in Auctions

Number of pages: 54 Posted: 13 Apr 2020

Sven Klingler and Suresh M. Sundaresan

BI Norwegian Business School and Columbia Business School - Finance and Economics

Downloads 52 (415,167)

Abstract:

22.

Underwriting Government Debt Auctions: Auction Choice and Information Production

Columbia Business School Research Paper No. 16-75, Gabelli School of Business, Fordham University Research Paper No. 2859846

Number of pages: 57 Posted: 28 Oct 2016 Last Revised: 22 Dec 2019

Sudip Gupta, Rangarajan K. Sundaram and Suresh M. Sundaresan

Fordham University - Finance Area, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics

Downloads 51 (418,680)

Abstract:

23.

A Review of Merton's Model of the Firm's Capital Structure with its Wide Applications

Annual Review of Financial Economics, Vol. 5, pp. 21-41, 2013

Posted: 08 Nov 2013

Suresh M. Sundaresan

Columbia Business School - Finance and Economics

Abstract:

24.

Y2k Options and the Liquidity Premium in Treasury Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1021-1056, 2009

Posted: 17 Mar 2009

Suresh M. Sundaresan and Zhenyu Wang

Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

Abstract:

25.

Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions

Posted: 27 Aug 2001

Kjell G. Nyborg, Kristian Rydqvist and Suresh M. Sundaresan

University of Zurich - Department of Banking and Finance, State University of New York at Binghamton - School of Management and Columbia Business School - Finance and Economics

Abstract:

26.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

Posted: 19 May 2000

Rajna Gibson and Suresh M. Sundaresan

European Corporate Governance Institute (ECGI) and Columbia Business School - Finance and Economics

Abstract:

27.

Debt Valuation, Renegotiations and Optimal Dividend Policy

Paine Webber Working Paper No. 99-05

Posted: 06 Oct 1999

Hua Fan and Suresh M. Sundaresan

Goldman Sachs Group, Inc. and Columbia Business School - Finance and Economics

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28.

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

Review of Financial Studies, Vol. 12, Issue 3

Posted: 11 Jul 1999

Jerome Detemple and Suresh M. Sundaresan

Boston University Questrom School of Business and Columbia Business School - Finance and Economics

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29.

Discriminatory Versus Uniform Treasury Auctions

London Business School Institute of Finance and Accounting Working Paper 198

Posted: 29 Aug 1998

Kjell G. Nyborg and Suresh M. Sundaresan

University of Zurich - Department of Banking and Finance and Columbia Business School - Finance and Economics

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30.

Design and Valuation of Debt Contracts

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1

Posted: 22 Aug 1998

Ronald W. Anderson and Suresh M. Sundaresan

London School of Economics & Political Science - Department of Finance and Columbia Business School - Finance and Economics

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31.

Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans

Review of Financial Studies, Vol. 10, No. 3

Posted: 30 Jul 1997

Suresh M. Sundaresan and Fernando Zapatero

Columbia Business School - Finance and Economics and Questrom School of Business, Boston University

Suresh M. Sundaresan

Columbia Business School - Finance and Economics

Professor

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Scholarly Papers (31)

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The Effects of Tax on Bank Liability Structure

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